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Discrete-time, minimum-variance hedging of European contingent claims.
Sanjay P. Bhat
VijaySekhar Chellaboina
Anil Bhatia
Sandeep Prasad
M. Uday Kumar
Published in:
CDC (2009)
Keyphrases
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minimum variance
spectral estimation
portfolio optimization
linear prediction
risk management
financial markets
decision making
portfolio selection
pattern recognition
feature vectors
wavelet transform
language model
estimation error